Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps
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Publication:5153697
jump-diffusionone-side Lipschitz conditionsplit-step schemestochastic differential equationstrong convergence
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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Cites work
- An algorithmic introduction to numerical simulation of stochastic differential equations
- Asymptotic Stability of a Jump-Diffusion Equation and Its Numerical Approximation
- B-convergence of split-step one-leg theta methods for stochastic differential equations
- Balanced Implicit Methods for Stiff Stochastic Systems
- Balanced Milstein Methods for Ordinary SDEs
- Compensated stochastic theta methods for stochastic differential equations with jumps
- Convergence analysis of a splitting method for stochastic differential equations
- Convergence and stability of implicit methods for jump-diffusion systems
- Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations
- Exact solutions and doubly efficient approximations of jump-diffusion itô equations
- Exponential mean square stability of numerical methods for systems of stochastic differential equations
- Financial Modelling with Jump Processes
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Cited in
(13)- Convergence of the compensated split-step \(\theta\)-method for nonlinear jump-diffusion systems
- Strong convergence of compensated split-step theta methods for SDEs with jumps under monotone condition
- Mean-square convergence and stability of two-step Milstein methods for stochastic differential equations with Poisson jumps
- Numerical solutions of SDEs with Markovian switching and jumps under non-Lipschitz conditions
- Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps
- Strong Convergence for Split-Step Methods in Stochastic Jump Kinetics
- Compensated two-step Maruyama methods for stochastic differential equations with Poisson jumps
- Efficient stochastic Runge-Kutta methods for stochastic differential equations with small noises
- scientific article; zbMATH DE number 7113305 (Why is no real title available?)
- A long term analysis of stochastic theta methods for mean reverting linear process with jumps
- Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems
- Strong error analysis of jump-adapted split-step backward Euler method for nonlinear jump-diffusion problems
- A new first order numerical scheme for nonlinear jump-diffusion problems and its strong convergence analysis
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